Depends what you want. You should probably start off with simple console apps. For that you'll need at least a compiler (minGW or something like that) and a text editor.
Alternatively, you can download an IDE like Visual Studio or Code::Blocks, which will include everything you need (and some things you don't) for developing C++ programs.
Thank you for the suggestion. After a second thought I realise that it may be better to look first for an introductory book and see which platform it is based on.